//-------------------------------------------------------------------------
/// <summary>
/// Explains the present value of the CMS product.
/// <para>
/// This returns explanatory information about the calculation.
///
/// </para>
/// </summary>
/// <param name="cms"> the CMS product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the explain PV map </returns>
public virtual ExplainMap explainPresentValue(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
ExplainMapBuilder builder = ExplainMap.builder();
builder.put(ExplainKey.ENTRY_TYPE, "CmsSwap");
IList <ExplainMap> legsExplain = new List <ExplainMap>();
legsExplain.Add(cmsLegPricer.explainPresentValue(cms.CmsLeg, ratesProvider, swaptionVolatilities));
if (cms.PayLeg.Present)
{
legsExplain.Add(payLegPricer.explainPresentValue(cms.PayLeg.get(), ratesProvider));
}
builder.put(ExplainKey.LEGS, legsExplain);
return(builder.build());
}
public virtual double explainRate(OvernightAveragedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider, ExplainMapBuilder builder)
{
double rate = this.rate(computation, startDate, endDate, provider);
builder.put(ExplainKey.COMBINED_RATE, rate);
return(rate);
}
//-------------------------------------------------------------------------
/// <summary>
/// Explain present value builder used to build large explain map from the individual legs.
/// </summary>
/// <param name="leg"> the swap log </param>
/// <param name="provider"> the rates provider </param>
/// <param name="builder"> the explain map builder which will be populated but the leg </param>
internal virtual void explainPresentValueInternal(ResolvedSwapLeg leg, RatesProvider provider, ExplainMapBuilder builder)
{
builder.put(ExplainKey.ENTRY_TYPE, "Leg");
builder.put(ExplainKey.PAY_RECEIVE, leg.PayReceive);
builder.put(ExplainKey.LEG_TYPE, leg.Type.ToString());
foreach (SwapPaymentPeriod period in leg.PaymentPeriods)
{
builder.addListEntry(ExplainKey.PAYMENT_PERIODS, child => paymentPeriodPricer.explainPresentValue(period, provider, child));
}
foreach (SwapPaymentEvent @event in leg.PaymentEvents)
{
builder.addListEntry(ExplainKey.PAYMENT_EVENTS, child => paymentEventPricer.explainPresentValue(@event, provider, child));
}
builder.put(ExplainKey.FORECAST_VALUE, forecastValue(leg, provider));
builder.put(ExplainKey.PRESENT_VALUE, presentValue(leg, provider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Explains the present value of the swap product.
/// <para>
/// This returns explanatory information about the calculation.
///
/// </para>
/// </summary>
/// <param name="swap"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the explanatory information </returns>
public virtual ExplainMap explainPresentValue(ResolvedSwap swap, RatesProvider provider)
{
ExplainMapBuilder builder = ExplainMap.builder();
builder.put(ExplainKey.ENTRY_TYPE, "Swap");
foreach (ResolvedSwapLeg leg in swap.Legs)
{
builder.addListEntryWithIndex(ExplainKey.LEGS, child => legPricer.explainPresentValueInternal(leg, provider, child));
}
return(builder.build());
}
/// <summary>
/// Explains the present value of the CMS period.
/// <para>
/// This returns explanatory information about the calculation.
///
/// </para>
/// </summary>
/// <param name="period"> the product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the volatilities </param>
/// <param name="builder"> the builder to populate </param>
public void explainPresentValue(CmsPeriod period, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities, ExplainMapBuilder builder)
{
string type = period.CmsPeriodType.ToString();
Currency ccy = period.Currency;
LocalDate paymentDate = period.PaymentDate;
builder.put(ExplainKey.ENTRY_TYPE, "Cms" + type + "Period");
builder.put(ExplainKey.STRIKE_VALUE, period.Strike);
builder.put(ExplainKey.NOTIONAL, CurrencyAmount.of(ccy, period.Notional));
builder.put(ExplainKey.PAYMENT_DATE, period.PaymentDate);
builder.put(ExplainKey.DISCOUNT_FACTOR, ratesProvider.discountFactor(ccy, paymentDate));
builder.put(ExplainKey.START_DATE, period.StartDate);
builder.put(ExplainKey.END_DATE, period.EndDate);
builder.put(ExplainKey.FIXING_DATE, period.FixingDate);
builder.put(ExplainKey.ACCRUAL_YEAR_FRACTION, period.YearFraction);
builder.put(ExplainKey.PRESENT_VALUE, presentValue(period, ratesProvider, swaptionVolatilities));
builder.put(ExplainKey.FORWARD_RATE, swapPricer.parRate(period.UnderlyingSwap, ratesProvider));
builder.put(ExplainKey.CONVEXITY_ADJUSTED_RATE, adjustedForwardRate(period, ratesProvider, swaptionVolatilities));
}